Self-Excited Multifractal Dynamics

We introduce the self-excited multifractal (SEMF) model, defined such that the amplitudes of the increments of the process are expressed as exponentials of a long memory of past increments. The principal novel feature of the model lies in the self-excitation mechanism combined with exponential nonlinearity, i.e. the explicit dependence of future values of the process on past ones. The self- excitation captures the microscopic origin of the emergent endogenous self-organization properties, such as the energy cascade in turbulent flows, the triggering of aftershocks by previous earthquakes and the "reflexive" interactions of financial markets. The SEMF process has all the standard stylized facts found in financial time series, which are robust to the specification of the parameters and the shape of the memory kernel: multifractality, heavy tails of the distribution of increments with intermediate asymptotics, zero correlation of the signed increments and long-range correlation of the squared increments, the asymmetry (called "leverage" effect) of the correlation between increments and absolute value of the increments and statistical asymmetry under time reversal

Introduction of longitudinal and transverse Lagrangian velocity increments in homogeneous and isotropic turbulence

Based on geometric considerations, longitudinal and transverse Lagrangian velocity increments are introduced as components along, and perpendicular to, the displacement of fluid particles during a time scale {\tau}. It is argued that these two increments probe preferentially the stretching and spinning of material fluid elements, respectively. This property is confirmed (in the limit of vanishing {\tau}) by examining the variances of these increments conditioned on the local topology of the flow. Interestingly, these longitudinal and transverse Lagrangian increments are found to share some qualitative features with their Eulerian counterparts. In particular, direct numerical simulations at turbulent Reynolds number up to 300 show that the distributions of the longitudinal increment are negatively skewed at all {\tau}, which is a signature of time irreversibility of turbulence in the Lagrangian framework. Transverse increments are found more intermittent than longitudinal increments, as quantified by the comparison of their respective flatnesses and scaling laws. Although different in nature, standard Lagrangian increments (projected on fixed axis) exhibit scaling properties that are very close to transverse Lagrangian increments

Node-balancing by edge-increments

Suppose you are given a graph $G=(V,E)$ with a weight assignment $w:V\rightarrow\mathbb{Z}$ and that your objective is to modify $w$ using legal steps such that all vertices will have the same weight, where in each legal step you are allowed to choose an edge and increment the weights of its end points by $1$. In this paper we study several variants of this problem for graphs and hypergraphs. On the combinatorial side we show connections with fundamental results from matching theory such as Hall's Theorem and Tutte's Theorem. On the algorithmic side we study the computational complexity of associated decision problems. Our main results are a characterization of the graphs for which any initial assignment can be balanced by edge-increments and a strongly polynomial-time algorithm that computes a balancing sequence of increments if one exists.Comment: 10 page

A Refined Similarity Hypothesis for Transverse Structure Functions

We argue on the basis of empirical data that Kolmogorov's refined similarity hypothesis (RSH) needs to be modified for transverse velocity increments, and propose an alternative. In this new form, transverse velocity increments bear the same relation to locally averaged enstrophy (squared vorticity) as longitudinal velocity increments bear in RSH to locally averaged dissipation. We support this hypothesis by analyzing high-resolution numerical simulation data for isotropic turbulence. RSH and its proposed modification for transverse velocity increments (RSHT) appear to represent two independent scaling groups.Comment: 4 pages, 5 figure

Processes with block-associated increments

This paper is motivated by relations between association and independence of random variables. It is well-known that for real random variables independence implies association in the sense of Esary, Proschan and Walkup, while for random vectors this simple relationship breaks. We modify the notion of association in such a way that any vector-valued process with independent increments has also associated increments in the new sense --- association between blocks. The new notion is quite natural and admits nice characterization for some classes of processes. In particular, using the covariance interpolation formula due to Houdr\'{e}, P\'{e}rez-Abreu and Surgailis, we show that within the class of multidimensional Gaussian processes block-association of increments is equivalent to supermodularity (in time) of the covariance functions. We define also corresponding versions of weak association, positive association and negative association. It turns out that the Central Limit Theorem for weakly associated random vectors due to Burton, Dabrowski and Dehling remains valid, if the weak association is relaxed to the weak association between blocks

The Euler scheme for Feller processes

We consider the Euler scheme for stochastic differential equations with jumps, whose intensity might be infinite and the jump structure may depend on the position. This general type of SDE is explicitly given for Feller processes and a general convergence condition is presented. In particular the characteristic functions of the increments of the Euler scheme are calculated in terms of the symbol of the Feller process in a closed form. These increments are increments of L\'evy processes and thus the Euler scheme can be used for simulation by applying standard techniques from L\'evy processes